LOW Options History — October 2010

In October 2010, LOW traded between $21.05 and $22.70. ATM implied volatility averaged 27.7%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.6% (HV 20d: 22.1%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2010-10-15: Highest Volume — 50,356 contracts
  • 2010-10-11: Largest IV spike — 10.3% change
  • 2010-10-27: Highest IV Rank — 42.7%
  • 2010-10-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.93$21.05$22.70$22.35$21.34
Max Pain$21.76$21.00$23.00$23.00$22.00
ATM IV27.7%23.0%30.6%26.4%30.2%
Expected Move8.3%7.6%9.0%7.6%8.7%
HV 20d22.1%20.1%25.8%21.9%20.1%
HV 60d28.5%25.9%31.4%31.2%25.9%
IV Rank34.1%20.6%42.7%30.3%41.6%
IV Percentile43.3%16.7%60.3%32.5%58.7%
Term Structure0.3%-1.5%4.4%4.4%-1.1%
VWIV29.6%28.0%32.2%28.5%30.2%
Skew 25d3.9%1.9%5.7%3.5%1.9%
Skew 10d8.2%3.3%12.0%8.1%3.3%
Call IV 25d28.0%25.3%30.0%25.3%30.0%
Put IV 25d31.9%28.9%34.9%28.9%31.8%
Bid-Ask Spread %4.723.365.785.454.30
Gamma HHI0.160.130.250.170.13
Net GEX3.6M1.1M6.3M4.4M2.5M
Net DEX-41.2M-82.2M9.0M-55.4M-30.7M
Net VEX-1.3M-1.4M-1.1M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.231.540.740.51
Total Volume12,788.0952,01350,3563,19922,345
Total OI385,653.095321,740448,410406,679365,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$22.35$23.0026.4%7.6%21.9%30.3%28.5%3.5%4.4%4.4M-55.4M-1.3M0.745.45N/AN/A1,8381,361234,672172,007
2010-10-04$22.24$22.0027.7%9.0%22.0%34.2%32.2%5.7%0.1%4.2M-39.6M-1.2M0.654.80N/AN/A2,3991,560234,789171,876
2010-10-05$22.67$22.0025.6%8.4%21.6%28.2%29.9%5.2%2.0%5.3M-70.9M-1.2M0.414.83N/AN/A1,969815235,405172,225
2010-10-06$22.67$22.0025.6%8.4%21.6%28.0%29.7%5.2%1.8%5.4M-78.0M-1.2M0.904.80N/AN/A3,2512,939235,716172,123
2010-10-07$22.63$22.0025.2%8.4%21.6%26.8%29.8%5.3%1.8%5.2M-69.4M-1.2M0.234.23N/AN/A2,777644237,219172,473
2010-10-08$22.70$22.0023.0%8.1%21.5%20.6%28.6%4.7%1.9%6.3M-82.2M-1.2M0.504.80N/AN/A2,5471,271238,535172,676
2010-10-11$22.59$22.0025.4%8.1%21.6%27.5%30.0%4.5%0.9%6.2M-70.5M-1.2M0.734.48N/AN/A4,0052,937238,460172,586
2010-10-12$22.04$22.0027.9%8.4%23.3%34.8%29.9%5.0%-0.5%4.0M-24.9M-1.1M1.544.66N/AN/A4,0706,287240,317173,496
2010-10-13$21.89$22.0026.2%8.3%23.5%29.8%29.2%4.5%-0.3%3.3M-14.2M-1.1M1.095.17N/AN/A20,17621,938241,032177,664
2010-10-14$21.68$22.0028.7%8.2%23.5%37.3%30.3%4.6%1.7%2.9M977.6K-1.3M0.594.57N/AN/A5,1833,054253,942193,293
2010-10-15$21.56$22.0028.1%8.0%23.1%35.3%29.7%4.0%1.7%1.9M9.0M-1.2M0.254.50N/AN/A40,17710,179254,844193,566
2010-10-18$21.05$22.0027.8%8.0%23.5%34.6%28.0%3.7%0.1%1.1M937.8K-1.2M0.415.15N/AN/A21,8659,027184,353137,387
2010-10-19$21.05$22.0029.2%8.4%23.1%38.5%29.0%3.4%-0.4%1.6M-5.4M-1.3M0.685.78N/AN/A8,5515,824198,674144,335
2010-10-20$21.65$21.0027.8%8.0%25.4%34.5%28.0%2.8%-0.5%2.6M-40.2M-1.4M0.493.36N/AN/A9,9364,913199,647147,705
2010-10-21$22.05$21.0029.9%8.6%25.8%40.8%30.9%3.4%-1.1%3.3M-65.5M-1.4M1.355.19N/AN/A6,9989,455202,500148,976
2010-10-22$22.00$21.0028.5%8.2%20.4%36.6%29.0%3.0%-0.9%3.5M-63.6M-1.4M0.434.95N/AN/A3,1541,341204,462146,973
2010-10-25$21.86$21.0028.6%8.2%20.3%36.8%29.4%3.1%-1.4%3.4M-55.3M-1.4M1.284.29N/AN/A1,5431,980206,785146,893
2010-10-26$21.72$21.0029.0%8.3%20.2%37.9%29.2%2.9%-1.3%3.2M-49.4M-1.3M0.805.54N/AN/A1,117896207,155147,458
2010-10-27$21.46$21.0030.6%8.8%20.3%42.7%30.4%3.4%-1.5%2.7M-32.1M-1.3M0.284.08N/AN/A12,3663,464207,366147,700
2010-10-28$21.38$22.0029.6%8.5%20.2%39.9%29.0%2.7%-1.0%2.6M-29.7M-1.4M0.574.09N/AN/A1,525873215,866149,774
2010-10-29$21.34$22.0030.2%8.7%20.1%41.6%30.2%1.9%-1.1%2.5M-30.7M-1.4M0.514.30N/AN/A14,8237,522216,000149,790